Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0405 |
| Annualized Std Dev | 0.2122 |
| Annualized Sharpe (Rf=0%) | -0.1910 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4190.0000 |
| NAs | 1.0000 |
| Minimum | -0.1289 |
| Quartile 1 | -0.0049 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1486 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0002 |
| Stdev | 0.0134 |
| Skewness | -0.6385 |
| Kurtosis | 19.6878 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0100 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.7511 |
| Historical VaR (95%) | -0.0184 |
| Historical ES (95%) | -0.0341 |
| Modified VaR (95%) | -0.0191 |
| Modified ES (95%) | -0.0191 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-08-09 | 2020-03-18 | NA | -0.7511 | 3931 | 3677 | NA |
| 2005-02-11 | 2005-04-20 | 2005-07-06 | -0.0587 | 100 | 47 | 53 |
| 2004-11-10 | 2004-12-22 | 2005-01-12 | -0.0395 | 44 | 30 | 14 |
| 2004-08-30 | 2004-08-31 | 2004-11-09 | -0.0368 | 51 | 2 | 49 |
| 2005-07-08 | 2005-07-26 | 2005-08-03 | -0.0264 | 19 | 13 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | -0.1 | 0.5 | -0.3 | 0.1 | -0.4 | -0.3 | -0.5 |
| 2005 | -0.3 | 0.5 | -0.3 | 0.7 | 0.3 | 0.3 | 0.6 | 0.5 | 1.9 | 2.1 | 0 | 0 | 6.4 |
| 2006 | -0.5 | 1 | 0.3 | 1.4 | 1.7 | 0.1 | -0.8 | -0.4 | 0.1 | -0.1 | -0.1 | 0.9 | 3.8 |
| 2007 | 0.6 | 0.7 | 1.1 | -1.3 | 0.9 | 0.3 | -1.3 | 1.5 | 0.5 | -1.4 | 1.2 | 1.4 | 4.4 |
| 2008 | 2.4 | -2.2 | 2.7 | 2.1 | 0.7 | -0.4 | 0.6 | -1.2 | 2.3 | 1.4 | -5.3 | 4.4 | 7.4 |
| 2009 | -2.5 | -4.5 | 2.5 | 0 | 3.2 | -0.1 | 0.3 | -0.8 | -0.8 | -2 | 1.3 | 0.3 | -3.4 |
| 2010 | 2.1 | 1.3 | 0.4 | -1.6 | -1.1 | -0.8 | -0.5 | 3.3 | 0.7 | 0 | 2.9 | 1.1 | 8.2 |
| 2011 | 1.2 | -0.2 | 0.7 | 0.3 | -0.5 | 0.9 | 1 | -0.3 | -1.7 | -2.6 | 0.8 | 0.5 | 0.2 |
| 2012 | 0.7 | 0.7 | 0.7 | 0.4 | -1.7 | 1.5 | 0.1 | 0.6 | 0.4 | 1 | 0.8 | 1.2 | 6.7 |
| 2013 | 0.9 | 0.2 | 0.1 | -0.6 | -0.9 | 1.1 | 0.1 | -0.1 | 1.8 | 0.2 | 0.6 | -0.6 | 2.9 |
| 2014 | -0.4 | 0.5 | 0.5 | 0.3 | 0.6 | 0.2 | 0.4 | 0.3 | -0.1 | 0.4 | -1.1 | 0.2 | 1.7 |
| 2015 | -0.8 | -0.5 | -0.1 | 0.7 | 0.7 | 0.8 | 0.5 | -2.5 | 1.6 | 0 | 0.4 | -0.3 | 0.4 |
| 2016 | 0.3 | 1.9 | 0.4 | 0 | 0.7 | -0.8 | -0.3 | -0.1 | 1 | -0.9 | -0.6 | 0.1 | 1.7 |
| 2017 | 0.4 | 0.9 | -0.4 | 0.6 | 0.6 | 0.5 | 0.1 | 0.1 | 0.9 | -0.1 | -0.4 | 0.5 | 3.8 |
| 2018 | 0.1 | -0.9 | 0.8 | -0.4 | 0.9 | 0.7 | 0.1 | -0.4 | 0.7 | 0.7 | 1 | 0.2 | 3.5 |
| 2019 | 0.1 | 0.1 | -0.3 | -0.3 | -1.4 | 0.2 | -0.3 | 0.6 | -0.3 | 0.8 | -0.2 | 0.2 | -0.8 |
| 2020 | -1.2 | -3.9 | -4.5 | -2.7 | 0.3 | 1.2 | 0 | 0 | -0.7 | -1.7 | 1.1 | -0.9 | -12.4 |
| 2021 | 0 | 1.5 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-07-28 15 SPY 110. 0.003 0.0047 -0.0295 -0.0367 0.102 -0.0926 -0.190 <NA> NA NA NA
2 2004-07-29 15.0 SPY 111. 0.0043 0.0063 -0.0294 -0.0199 0.112 -0.0704 -0.186 <NA> NA NA NA
3 2004-07-30 15 SPY 111. 0.00240 0.0173 -0.0322 -0.0089 0.118 -0.0591 -0.177 <NA> NA NA NA
4 2004-08-02 15 SPY 111. 0.0021 0.0213 -0.0166 0.001 0.118 -0.0674 -0.183 <NA> NA NA NA
5 2004-08-03 15.0 SPY 110. -0.0077 0.004 -0.0237 -0.0173 0.119 -0.0843 -0.192 <NA> NA NA NA
6 2004-08-04 15 SPY 110. -0.0001 0.0009 -0.0151 -0.0166 0.119 -0.0878 -0.180 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
